Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0119
Annualized Std Dev 0.1571
Annualized Sharpe (Rf=0%) -0.0756

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1348
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.2527
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness 2.1777
Kurtosis 96.4598

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0084
Loss Deviation 0.0083
Downside Deviation (MAR=210%) 0.0119
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.5706
Historical VaR (95%) -0.0126
Historical ES (95%) -0.0230
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
1999-01-07 2008-12-16 NA -0.5706 5587 2502 NA
1999-01-05 1999-01-05 1999-01-06 -0.0037 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.8 -1.1 -0.4 0 0 1.6 -0.8 0.9 0.4 1.4 -1.4 0.5 1.8
2000 0 0 0.5 0 1.5 0.9 -2.3 -0.9 0 1 0.5 0.5 1.6
2001 -0.1 0.5 0.5 0.9 0.4 -0.1 0.4 -0.1 0.2 1 -0.1 1.5 5.2
2002 0.4 -0.6 -0.1 0.9 -0.1 0.6 0.9 0.1 0.2 -1.1 0.5 0.6 2.2
2003 0.5 0.8 0 0.1 0.6 1.1 -0.6 -0.1 0.8 -0.3 -0.1 0.3 3.1
2004 0.3 0.1 0.7 0.4 0.2 1.2 0.4 0.1 -0.1 -0.3 0.1 0.4 3.4
2005 0.7 -0.1 1.7 0.4 0.7 -0.3 0.1 0.6 0.1 0.3 0.1 0.6 5.2
2006 0 0.1 0 0.3 0.3 0.1 0 0.3 0.1 -0.4 0.7 0.1 1.6
2007 0.4 0.2 0.1 -0.1 -0.7 1.5 0 1.2 0.4 1.1 1.8 0.5 6.5
2008 -1.4 -1.8 -0.1 0.6 -0.1 -0.1 -0.1 -0.3 7.3 -4.7 -1 -1.9 -3.8
2009 -0.8 0.5 1.3 -1.4 0.5 0.1 1.3 -0.2 0.4 -1.2 1.4 -0.9 1.1
2010 0.5 0.4 0.2 0.1 0 -0.2 0.9 0.5 -0.1 0.3 -1.6 2 3.2
2011 0.8 0.7 0.4 0.6 -0.2 0.4 2.2 -0.4 0.2 0.5 -0.4 0.2 5.1
2012 0.2 0.5 -0.1 -0.1 -0.2 0.7 -0.1 0.5 0.7 0.7 1 0 4
2013 -0.6 1.6 0.3 -0.1 -1.8 1 -1 -1.1 0 -1.2 -0.3 -0.2 -3.3
2014 0.4 0.2 -0.4 1.1 -0.2 -0.5 0.3 0.6 0.5 -0.2 -0.2 0.2 1.6
2015 0.1 0.5 0.2 -0.5 0 -0.5 0.6 0.1 0.1 0.6 0.1 -0.4 0.8
2016 0.3 -0.3 0 -0.1 0.7 -0.2 -0.3 0.6 0.5 0.5 -1.1 0.2 0.9
2017 -0.1 -0.2 0.3 -0.2 -0.1 0.5 0.7 0.2 0 0.4 0.4 -0.2 1.8
2018 0.1 -0.6 0.1 0.5 -0.2 0 0.3 0.1 -0.5 -0.4 -0.6 0.8 -0.4
2019 -0.2 0.1 0.2 0.6 -0.1 -0.2 0.2 0.1 0.2 0.2 -0.2 0.2 1.1
2020 0.5 -1.7 -3.9 0.2 0.9 0.5 0.6 0.5 0.3 0.7 0.3 0.8 -0.6
2021 0.3 1.3 -0.2 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart